摘要翻译:
本文基于Lo(2004)的适应性市场假说(AMH),探讨了战前日本股票市场有效性的时变结构。特别地,我们使用Hirayama(2017a、b、2018、2019a、2020)估计的股票价格指数的新数据集来度量市场有效性的时变程度。实证结果表明:(1)战前日本股票市场的市场效率程度随时间而变化,其变化与重大历史事件相一致;(2)Lo(2004)的AMH在战前日本股票市场中得到支持;(3)新旧东京证券交易所(TSE)股票和股票绩效指数(EQPI)的市场效率差异取决于价格指数的构建方式;(4)始于20世纪30年代初的价格管制政策抑制了价格波动,提高了市场效率。
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英文标题:
《Measuring the Time-Varying Market Efficiency in the Prewar Japanese
Stock Market》
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作者:
Akihiko Noda
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最新提交年份:
2020
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类:Economics 经济学
二级分类:General Economics 一般经济学
分类描述:General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类:Quantitative Finance 数量金融学
二级分类:Economics 经济学
分类描述:q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学,包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要:
This study explores the time-varying structure of market efficiency of the prewar Japanese stock market based on Lo's (2004) adaptive market hypothesis (AMH). In particular, we measure the time-varying degree of market efficiency using new datasets of the stock price index estimated by Hirayama (2017a,b, 2018, 2019a, 2020). The empirical results show that (1) the degree of market efficiency in the prewar Japanese stock market varied with time and that its variations corresponded with major historical events, (2) Lo's (2004) the AMH is supported in the prewar Japanese stock market, (3) the differences in market efficiency between the old and new Tokyo Stock Exchange (TSE) shares and the equity performance index (EQPI) depends on the manner in which the price index is constructed, and (4) the price control policy beginning in the early 1930s suppressed price volatility and improved market efficiency.
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PDF链接:
https://arxiv.org/pdf/1911.04059